18% is not too shabby but understated due to advances and ASER.
I assumed she was taking that into account - the loan is $825.4mm, buyout is for $1bln-ish. If not it would increase the loss severity about 4% points ($23mm advanced + $7mm ASER) to 22%.
23 + 7 in two deals = 60 so tack on another 4%.
Barclays just came out with a 25% loss severity - 18% from principal + $45mm in advances + 15.2mm in ASERs...
which, is in line with the above comments.
B of A true to form just came out with an 18% loss estimate. Not only that, they pulled all the legacy research, making sure that everything they make available is wrong. Has anyone ever succeeded in getting on their servicing site more than a couple of times?
Really? I got dropped from their research - I guess we don't do enough business with them... I can't imagine dropping a customer that does business with all of my competitors without asking myself what I might be doing wrong.The CMBS analysts at all three shops above are BOA/ML alums - Nomura (former BOA), Barclays (former ML, short-term BAML post-merger), and the current BAML.
If their research guy is going to coming out with loss estimates which are 25% too low, they are doing you a favor. But since they seem to be poor at everything they do, it was just as likely an IT mixup.
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